Essays on Regime Uncertainty and Time Inconsistency in Optimal Asset Allocation Problems

The dissertation aims to fill the research gap on the impact of time inconsistency on an investor’s optimal asset allocation and expected utility. Thereby, the relevance of taking regime uncertainty into account as a realistic assumption will be discussed in more detail. 

In the following chapters of this dissertation the subsequent research questions are in- vestigated: What are the effects of time-inconsistent behavior on decision situations? What are the results of the theoretical and empirical behavioral literature on time inconsistency? Is there a preference in dealing with time inconsistency in optimal asset allocation prob- lems? What are the implications of an investor’s time-inconsistent behavior implementing a pre-commitment strategy for optimal asset allocation under regime uncertainty? How does her willingness to pay for the resolution of regime uncertainty (value of information) evolve in this context?


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